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A Hedge Fund Owns a $15 Million Bond Portfolio with a Modified

Question 33

Multiple Choice

A hedge fund owns a $15 million bond portfolio with a modified duration of 11 years and needs to hedge risk but T-bond futures are only available with a modified duration of the deliverable instrument of 10 years.The futures are priced at $105,000.The proper hedge ratio to use is ______.


A) 143
B) 157
C) 196
D) 218

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